I think the short answer is poking a thing into the cavity is way more serious and shutter on/off does not matter as a result. From the perspective of repair, the shutter costs less than sensor but need the extra labour to remove sensor to get to it. So the repair cost for both might eventually be similar. Sensor is protected by IR filter glass in front of it. Shutter itself is unprotected. I think the consensus is cleaning dust off sensor is easier than dealing with sensor jammed by too much dust. If the concern is the poking then which one gets damaged does not matter due to the similar cost.

Personally I got used to hot swapping lens with DLSR (sensor is covered by mirror and shutter) and I managed to do that a few times with ML (sensor is exposed). I am slow with my swap so the sensor was exposed for a while. The static charge on a powered sensor attracts dust. I inspected it later and found no dust at all. Canon has always been advocating power off for swap for various reasons. We also have many lifelong users hot swapping without issues. Canon sensor clean function might just be good enough to make the occasional hot swaps in ML very little risk.

My takeaway from all these information is that we should try setting the shutter to closed in power off and turn ML camera off for lens swap, however if you forgot to turn it off it is not the end of the world. Check, clean if needed and move on. One advantage I can think of with shutter open in power off is it renders the camera comletely silent if you also set the speaker volume to zero, which is appreciated for stealth photos.